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adequacy regimes, which assess a bank's current capital adequacy, with the ability to assess its future capital adequacy based …. Instead, our study focuses on NIM forecasting at an individual bank's level and employs both linear regression and non … first systematic study on forecasting bank-specific NIM by Machine Learning Techniques; also, it is a first systematic study …
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explained better by a bank's current balance sheet composition, the longer the forecast horizon. The opposite holds for banks …
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Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management over a short-term and medium-term horizon. We especially analyze the effect of a 200-bp increase in the interest level. We find that, in the first year, the impairments of...
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We regress long-term private sector interest rates on a money market rate, a term premium and credit risk. As a contribution to the current debate about European safe assets, our interest is in quantifying domestic spillover effects from euro area sovereign bond spreads. Panel estimates show...
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